A Comparative Analysis of Fixed Income Unit Trust Funds versus Equity Unit Trust Funds in Malaysia

IF 0.7 Q4 BUSINESS, FINANCE

Asian Academy of Management Journal of Accounting and Finance Pub Date : 2019-12-31 DOI:10.21315/aamjaf2019.15.2.5

N. Abdullah, A. Shari

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引用次数: 5

Abstract

This study examines the relationship between fixed income unit trust funds and equity unit trust funds for the period of January 2006 to October 2012. The performance of both types of funds are then compared to the market benchmark to determine whether they outperformed the market benchmark. The performance comparisons are made over several categories of equity sample namely overall equity, growth equity and value equity. The Kuala Lumpur Composite Index (KLCI) is used as the market benchmark for equity funds and fixed income funds with additional market benchmark of Maybank 12-month fixed deposit. A total of 31 fixed income funds and 57 overall equity funds which are made up of 37 growth equity and 20 value equity are evaluated by using three performance measures namely Treynor index, Sharpe index and Jensen index. The results indicate that the mean returns of equity funds are higher than the fixed income funds and market benchmark of KLCI. Nevertheless, when equity funds are compared against fixed income funds using Wilcoxon Signed Rank Test, Sharpe and Treynor ratios produce significant results. This means that the performance of fixed income funds varies from the performance of equity funds. However the Jensen index produces insignificant result. When the sample categorised into different equity types of funds, the finding shows a conflicting result. The Sharpe and Jensen ratios indicate insignificant results for growth equity funds sample. This means that the performance of fixed income funds is not different from that of equity funds in comparison to Treynor that shows a significant result. As for the value equity, Sharpe, Treynor and Jensen produce results that are significant. This means that the performance of fixed income funds varies from that of equity funds.

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马来西亚固定收益单位信托基金与权益单位信托基金的比较分析

本研究考察了2006年1月至2012年10月期间固定收益单位信托基金与股票单位信托基金之间的关系。然后将这两种基金的表现与市场基准进行比较，以确定它们的表现是否优于市场基准。绩效比较是在几个类别的股权样本，即整体股权，成长性股权和价值股权。吉隆坡综合指数(KLCI)是股票基金和固定收益基金的市场基准，另外还有马来亚银行12个月定期存款的市场基准。本文采用Treynor指数、Sharpe指数和Jensen指数三种绩效指标对31只固定收益型基金和57只整体股票型基金进行评价，其中37只成长型基金和20只价值型基金。结果表明，股票型基金的平均收益率高于固定收益型基金和KLCI市场基准。然而，当使用Wilcoxon sign Rank检验将股票基金与固定收益基金进行比较时，Sharpe和Treynor比率产生显著结果。这意味着固定收益基金的表现与股票基金的表现不同。而Jensen指数产生的结果不显著。当样本被划分为不同的股票型基金时，研究结果显示出相互矛盾的结果。夏普和詹森比率表明增长型股票基金样本的结果不显著。这意味着固定收益基金的表现与股票基金的表现没有区别，与Treynor相比，表现出显著的结果。对于价值权益，Sharpe、Treynor和Jensen得出了显著的结果。这意味着固定收益基金的表现与股票基金不同。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Asian Academy of Management Journal of Accounting and Finance BUSINESS, FINANCE-

CiteScore

1.50

自引率

0.00%

发文量

审稿时长

20 weeks

期刊介绍： To provide a forum for the exchange of ideas and dissemination of empirical findings and analytical research in the specialized areas of accounting and finance with special emphasis on scholarly works with policy implications for countries in the Asia Pacific. The following are some of the topical subject areas relevant to the journal (but are not limited to): Accounting • Financial reporting and accounting standards • Auditing issues • Value based accounting and its relevance • Theory of accounting firm • Environmental auditing • Corporate governance issues • Public sector accounting Finance • Valuation of financial assets • International capital flows • Ownership and agency theory • Stock market behavior • Investment and portfolio management • Islamic banking and finance • Microstructures of financial markets